Giulio Miglietta

University of Padova - Department of Mathematics

PhD Student

Italy

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A Flexible Spot Multiple-Curve Model

Number of pages: 24 Posted: 13 Apr 2014
Martino Grasselli and Giulio Miglietta
University of Padova - Department of Mathematics and University of Padova - Department of Mathematics
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Abstract:

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Short rate models, Multiple-curve interest rate model, LIBOR-OIS spread, Analytical tractability, Calibration to market data, Affine specifi cation